I don't think Microsoft provided an easy way to do this using InfoPath directly. Since UDCXs provide similar ability to query backend data, they probably made querying BDC data from InfoPath a low priority scenario.
You can add BDC columns to custom lists (http://msdn.microsoft.com/en-us/library/ms548808.aspx), which could be used like a normal SharePoint list source, but it requires a row added in the list to show the related BDC data. But that has limited usefulness.
I did find a link to a blog where someone wrote a webservice that provided an interface for the BDC connection and InfoPath (http://weblog.vb-tech.com/nick/archive/2007/01/12/2088.aspx). This is still not getting InfoPath to query the bdc data from SharePoint, but rather providing a single interface for both SharePoint and InfoPath to query.